Extremes of locally stationary Gaussian and chi fields on manifolds (Q1994913)
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English | Extremes of locally stationary Gaussian and chi fields on manifolds |
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Extremes of locally stationary Gaussian and chi fields on manifolds (English)
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18 February 2021
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For a centered Gaussian field \(\{X(t), t \in \mathcal{M}\}\) on a compact \(r\)-dimensional submanifold \(\mathcal{M}\) of \(\mathbb{R}^n, 1 \leq r \leq n,\) satisfying a local stationarity condition and a `positive reach' condition, the asymptotic form of the excursion probability \(P(\sup_{t \in \mathcal{M}} X(t) > u )\) as \(u \rightarrow \infty\) is derived. For constants \(a_h, b_h \in \mathbb{R}_{+}\) and any fixed \(z \in \mathbb{R},\) it is shown that \(\lim_{h \rightarrow 0} P(a_h(\sup_{t \in \mathcal{M}_{h}} X_h(t) - b_h) \leq z) = e^{-e^{-z}},\) where \(\{X_h(t), t \in \mathcal{M}_{h}\}_{h \in (0,1]}\) is a class of centered Gaussian fields having a rescaled form \(X_h(t) = \overline{X}_h(\frac{t_{(1)}}{h}, t_{(2)}),\) \(t \in \mathcal{M}_h\) for some \(\overline{X}_h\) satisfying the local stationarity condition, \(\mathcal{M}_h\) is a compact submanifold of \(\mathbb{R}^n\) for each \(h \in (0, 1] \) having the structure \(\mathcal{M}_h = \mathcal{M}_{h,1} \times \mathcal{M}_{h,2}\) such that \(t =(t_{(1)}^{T}, t_{(2)}^{T})^T \in \mathcal{M}_h\) means that \(t_{(1)} \in \mathcal{M}_{h,1}\) and \(t_{(2)} \in \mathcal{M}_{h,2},\) and \(\mathcal{M}_{h,2}\) can be a null set. As applications, the results are extended to obtain the limit behaviours of the extremes of locally stationary \(\chi\)-fields on manifolds.
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local stationarity
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excursion probabilities
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chi-field
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Gaussian field
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positive reach
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probabilities on manifolds
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